Evangeline (but think about the nicknames and whether you like them)
I love Margot too. I don't think it is that big a deal re same ending as her brother - after all it is only going to be a short portion of her life where she's "Margot and Leo" - she'll be her own person. (n.b. google funny story about Dame Margot Fonteyn's meeting with JeanHarlow re this name)

First of all, I love Leo! I think almost all these names work well with Leo.

Caroline- I mostly just find this name boring, but it does have a pretty sound. Margaret- I never used to like Margaret, but it's been growing on me. I'm not sure how I like it with Leo, though. Penelope- yeah, probably a bit trendy, but I love this name anyway. It is growing in popularity, so it just depends whether or not you like the name more than you care about popularity. Genevieve- I agree. Love this name, would hate to have a Jenny! Still, so pretty. Margot- I really love this name! I don't know if the similar endings would bother me too much. Margot is a similar style to Leo, but maybe Margot and Leo is a bit much. I'm not sure. Emmeline- I wouldn't let a cousin's kid stop me from using a name. Emmeline is gorgeous! Emmeline and Leo. Evangeline- It does seem like a lot of name next to Leo, but I don't think it's that bad. Leo is two-syllables, after all, even if it looks short. Would you use Evie as a nn? Evie and Leo are so cute. And I really love Evangeline!